Barczy, Mátyás and Nyul, Balázs and Pap, Gyula (2018) Least squares estimation for the subcritical Heston model based on continuous time observations. JOURNAL OF STATISTICAL THEORY AND PRACTICE. ISSN 1559-8608 (In Press)
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Abstract
We prove strong consistency and asymptotic normality of least squares estimators for the subcritical Heston model based on continuous time observations. We also present some numerical illustrations of our results.
| Item Type: | Article |
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| Uncontrolled Keywords: | Heston model; least squares estimator; strong consistency; asymptotic normality |
| Subjects: | Q Science / természettudomány > QA Mathematics / matematika |
| Depositing User: | Dr Mátyás Barczy |
| Date Deposited: | 14 Sep 2018 06:59 |
| Last Modified: | 05 Apr 2023 07:40 |
| URI: | http://real.mtak.hu/id/eprint/83953 |
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